I found out by a fluke and have taken advantage of creating folders ever since.

If anyone's mad about not having folders (or simply can't figure it out) here you are!

You create them the same way you would in the audio files. Press triangle on the game you want (demo, downloaded game, etc) then select information. You should be able to change the album info and it will create a folder based on that.

Unfortunately you can't just make a folder and move things into it, you have to specify the album on each file and it will place it in a folder with that name. My games are currently in "DEMOS" and "PSN GAMES"